This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
|
39
|
Type:
|
Contributed
|
Date/Time:
|
Sunday, August 1, 2010 : 2:00 PM to 3:50 PM
|
Sponsor:
|
Section on Statistical Computing
|
Abstract - #308002 |
Title:
|
Small-World MCMC with Tempering: Ergodicity, Spectral Gap, and Applications
|
Author(s):
|
Yongtao Guan*+ and Matthew Stephens
|
Companies:
|
The University of Chicago and The University of Chicago
|
Address:
|
920 East 58th Street, CLSC 412 , Chicago, IL, 60637,
|
Keywords:
|
MCMC ;
Small World Sampler ;
Tempering ;
Nonhomogeneous Markov Chain ;
State Decomposition ;
Spectal gap
|
Abstract:
|
We present a novel sampler that is a combination of a small world sampler, whose defining feature is the mixture of local and long-range proposals, and tempering. In its simplest form the sampler employs two small world chains: an exploring chain that samples $\pi(x)^{1/t}$ to build up an empirical distribution, and a sampling chain that samples $\pi(x)$ using the empirical distribution as its long-range proposal. We show that the spectral gap of the exploring chain is increased by a factor of $t^d$ (d is dimension) at the cost of a penalty on the spectral gap of the sampling chain, which is proportional to $t^{-d}$. Overall, the sampler enlarges a severe bottleneck at the cost of shrinking a mild one to achieve faster mixing. The penalty can be significantly alleviated by extending the sampler to multiple chains. Continuing tempering, the sampler becomes a global optimizer.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2010 program
|
2010 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.